Allegory teaches a moral lesson using symbolic figures or actions. It can be taught through art or literature. This novel is full of symbolism, so you could connect it to allegory in this manner. It is through the symbols that the themes of a piece of literature are shown, so in this novel, it's necessary to understand the symbolism to understand what the novelist is saying to us.
Some of the main symbols in the novel involve the sun and moon. Wolan, or Satan, is introduced as the sun sets. The sun is extremely hot and insufferable as Yeshua, Jesus Christ, hangs on the cross. The moonlight makes the Master feel irrational and insane. Simply put, the sun symbolizes sanity, and the moon represents insanity. The novelist uses the sun and moon to show us how Wolan's actions affect the other characters and how evil his actions are.
Thunderstorms are another example of the symbols used in the novel, such as when Yeshua is on the cross. A terrible thunderstorm occurs when Yeshua dies, and the same kind of storm occurs again in Moscow at the end of the novel. The storms represent people, both past and present, who have suffered at the hands of cruel dictators and repressive governments.
Basically, the other symbols deal with the repression of the Soviet government. Anyone and anything that did not align with Soviet goals were banished or killed. The sins of the Soviet bureaucracy are represented by objects, such as the wine spilled by Pilate that won't wash off.
This is all very general, so if you have more specific questions, please don't hesitate to ask.